Most databases have low limits for the size of database which they can import. It's usually around 2MB.

The first shouldn't be a big deal for me.

The second is really annoying, but there's nothing to be done. I would need to upload the XML file to the server and then do a manual import through SSH or whatever other tool, which is annoying but not particularly challenging.

The official support topic says "any uploads and images will need to be manually transferred to the new blog". How vague of them. I still don't really know what this means. I'll have to manually keep a directory with a local copy of everything I've uploaded. I don't know if there's a simple way for me to automate the backup of an existing blog.

This is the kind of stuff I would have liked to learn before getting into all of this in the first place.

sFTP doesn't seem to work. The connection just gets reset. I also have some overzealous security settings on my system, so I'm not surprized.

FTP doesn't seem to work. The connection fails and reconnects all time out. They do not allow FTP.

I've contacted WordPress support to see what they say about an easier direct-download link on the Media Library page.

They say:

There isn't a way to backup the images. If you were setup a self-hosted blog though, when you import the export file you would have the option to download and import the attachments (images) though.

I guess what I could do is have a local copy of WordPress running, and then use it to pull the images. I could use a simple local LAMP setup for that. If/when I do that, I'll write a followup post.

I bumped into some references that a simple export/import will not work, at least in all circumstances. It seems that some people who change URLs need to do some editing to correct the blog's self-referencing links.

I've already been fairly careful to make sure that my manually-created self-pointing URLs are not absolute but are only relative. But that still won't work if I move the blog to a directory. I guess if I face that, I'd be working with some search-and-replace magic to correct my export file.